Abstract
The asymmetric volatility of stock return is a common market dynamic of high market volatility, which occurs when the market is in upward trend than downward. The present study aimed at measuring the asymmetric effect of the daily return of Indian and Chinese stock market indices, for the period between 01/01/1992 and 1/12/2015. By modeling the returns, with extended GARCH family models, the study found that the negative news influenced the volatility than positive news, for the majority of markets, under the study. However, for one of the Chinese market (Shanghai Composite), the impact of good news recorded great impact than the bad shocks.
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